Author:
Leschinski Christian,Voges Michelle,Sibbertsen Philipp
Abstract
AbstractThere are various competing procedures to determine whether fractional cointegration is present in a multivariate time series, but no standard approach has emerged. We provide a synthesis of this literature and conduct a detailed comparative Monte Carlo study to guide empirical researchers in their choice of appropriate methodologies. Special attention is paid on empirically relevant issues such as assumptions about the form of the underlying process and the ability of the procedures to distinguish between short-run correlation and long-run equilibria. It is found that several approaches are severely oversized in presence of correlated short-run components and that the methods show different performance in terms of power when applied to common-component models instead of triangular systems.
Funder
Gottfried Wilhelm Leibniz Universität Hannover
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Cited by
5 articles.
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